Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0269
Annualized Std Dev 0.2673
Annualized Sharpe (Rf=0%) -0.1006

Row

Daily Return Statistics

Close
Observations 3356.0000
NAs 1.0000
Minimum -0.1561
Quartile 1 -0.0080
Median 0.0002
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0080
Maximum 0.1569
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0168
Skewness -0.2548
Kurtosis 11.1205

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0120
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0168
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.7778
Historical VaR (95%) -0.0243
Historical ES (95%) -0.0393
Modified VaR (95%) -0.0251
Modified ES (95%) -0.0397
From Trough To Depth Length To Trough Recovery
2011-01-04 2020-03-18 NA -0.7778 2570 2316 NA
2008-04-08 2008-10-10 2009-12-11 -0.5297 426 131 295
2007-12-10 2008-01-23 2008-03-12 -0.2004 64 30 34
2010-01-20 2010-05-25 2010-07-20 -0.1434 126 88 38
2007-11-19 2007-11-26 2007-11-30 -0.0716 9 5 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA 1.9 -0.2 1.6
2008 0.1 -2.6 0.5 0.4 -0.5 -3.4 -0.4 0.1 -2.5 2.2 -10.1 1.5 -14.4
2009 -0.4 0.6 -0.2 1.5 2.7 0 -0.1 -2.8 -1.6 -3.2 1.8 -1 -2.9
2010 1.7 -1.4 1.1 1.1 -1 0.1 0.1 3.2 0.7 0.3 0.7 0.6 7.6
2011 2 -1.4 2.5 1.3 -0.9 0.5 2 -0.4 -2.9 -3.2 -1.3 0.5 -1.6
2012 2.4 0.7 0.5 0.7 -2.1 3.4 -2.4 0.7 0.1 1.4 -0.2 1.2 6.4
2013 0.3 0.4 -0.9 -1 0.5 -1.2 2.5 1.7 1.7 0 1.1 1.1 6.4
2014 -0.5 0.2 0.8 0.8 -1.2 0.4 0.8 1.3 -1.3 0.6 -1.4 0.1 0.6
2015 -1.8 1 1.7 1 -1.3 -1.4 2.1 -1.4 -0.2 -0.4 -0.7 -0.7 -2.2
2016 0.6 2.7 0.2 0.6 -0.2 0.9 -1.2 0.2 -0.2 -0.4 -0.4 -0.6 2.1
2017 0.2 1.3 -0.5 0 1.2 0.2 0 0.7 0.4 0.3 0.5 -0.3 4
2018 0.4 -1.4 2.2 -1.2 0.1 0.6 -1.6 -0.2 0 4.3 -1.2 0.2 2.1
2019 0.1 -0.7 2.2 -1.3 -0.4 -0.4 -1.3 2.4 -0.5 2 -1.2 0.7 1.5
2020 -0.5 -2.3 -2.9 -2.1 3.4 2.7 0.6 -0.4 -0.3 -0.5 4.9 -0.6 1.5
2021 2 3.3 0.2 NA NA NA NA NA NA NA NA NA 5.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-11-16  49.3 SPY    146.  0.0017   0.0045  -0.0514   0.008    0.0412    0.237    0.607 GLD    77.8 -2.60e-3  -0.0539
2 2007-11-19  48.3 SPY    144. -0.0139   0.0004  -0.0395  -0.0081   0.0241    0.212    0.573 GLD    77.2 -6.60e-3  -0.0135
3 2007-11-20  47.4 SPY    145.  0.0061  -0.0232  -0.0392  -0.0137   0.0301    0.218    0.599 GLD    79.5  2.89e-2   0.0044
4 2007-11-21  46   SPY    142. -0.0205  -0.0406  -0.0664  -0.033    0.0084    0.207    0.568 GLD    79.4 -1.40e-3  -0.0115
5 2007-11-23  46.7 SPY    144.  0.0173  -0.0097  -0.0485  -0.0283   0.0248    0.222    0.560 GLD    81.2  2.38e-2   0.0423
6 2007-11-26  45.8 SPY    141. -0.0221  -0.0332  -0.0717  -0.0408   0.0002    0.193    0.498 GLD    81.3  6.00e-4   0.0457
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart